Need to try with B = 2 as well and with leverage. Basic leverage and then some type of volatility based leverage
Try using longer term momentum to pick which Risk On Assets to prevent so much churn…. (3+6+12)? Or 12 months? This looks like it might work, plot the values, so we can inspect, only switch assets when we clearly need to.
Basic Vigilant Asset Allocation test
First version is the model exactly as described on TrendExplorer this is the VAA.G4.T1.B1 model.

## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 16.6 17.9 -8.5
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
70.9
|
Win.Percent.Day
|
67.5
|
|
Cagr
|
16.58
|
Avg.Trade
|
1.4
|
Best.Day
|
17.9
|
|
Sharpe
|
1.35
|
Avg.Win
|
2.7
|
Worst.Day
|
-8.5
|
|
DVR
|
1.25
|
Avg.Loss
|
-1.9
|
Win.Percent.Month
|
67.5
|
|
Volatility
|
11.91
|
Best.Trade
|
17.89
|
Best.Month
|
17.9
|
|
MaxDD
|
-8.53
|
Worst.Trade
|
-8.53
|
Worst.Month
|
-8.5
|
|
AvgDD
|
-2.8
|
WinLoss.Ratio
|
1.48
|
Win.Percent.Year
|
95.8
|
|
VaR
|
-2.99
|
Avg.Len
|
1
|
Best.Year
|
54.1
|
|
CVaR
|
-5.36
|
Num.Trades
|
261
|
Worst.Year
|
0.2
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
97.7011494252874
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug Sep Oct
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.5" " 8.0" "-5.6" " 0.8" "-3.4"
## 1998 " 1.2" "-0.3" " 5.1" " 1.0" "-1.7" " 1.4" "-0.7" " 3.2" " 3.6" "-0.8"
## 1999 " 4.2" "-3.7" " 0.7" "15.4" "-4.2" " 0.2" " 0.1" " 0.1" " 0.8" " 0.3"
## 2000 "-0.2" " 0.8" " 0.7" "-3.0" " 0.3" " 1.3" " 0.9" " 1.5" "-5.3" " 0.9"
## 2001 " 1.3" " 1.2" "-0.1" "-1.2" " 1.6" " 0.5" " 3.9" " 1.8" "-0.9" " 2.2"
## 2002 " 2.9" " 1.2" "-3.2" " 1.6" " 1.0" " 1.7" " 2.4" " 2.5" " 3.9" "-1.3"
## 2003 "-0.8" " 2.0" "-0.4" " 2.4" " 6.2" " 5.9" " 7.0" " 0.0" " 4.5" " 9.1"
## 2004 " 3.1" " 4.2" " 0.4" "-7.9" " 0.0" " 0.0" " 0.3" " 3.1" " 5.6" " 2.3"
## 2005 "-0.1" " 8.9" "-6.8" " 0.5" " 1.8" " 3.5" " 7.0" " 1.5" " 8.2" "-0.1"
## 2006 "11.6" "-2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5" " 0.2" " 3.3"
## 2007 " 0.1" "-2.3" " 2.8" " 3.8" " 3.1" " 0.5" " 0.9" " 2.3" " 9.8" "13.0"
## 2008 " 3.4" " 1.2" " 1.3" "-2.4" " 1.8" " 0.2" " 0.7" " 1.5" "-0.1" " 1.1"
## 2009 "-1.8" "-5.2" " 3.3" "-2.7" "17.9" "-2.5" "10.9" "-0.7" " 3.9" "-2.4"
## 2010 " 1.2" " 0.5" " 8.2" "-0.2" "-8.0" " 3.0" " 0.9" "-2.6" " 0.0" " 3.1"
## 2011 " 0.1" " 3.5" "-2.5" " 3.4" "-2.7" "-1.7" "-2.4" " 4.7" " 2.2" "-1.3"
## 2012 " 2.1" " 5.4" " 3.3" "-0.6" " 2.9" "-0.4" " 1.2" "-0.1" " 1.1" "-0.6"
## 2013 "-1.3" " 0.1" " 3.6" " 1.5" "-3.0" "-0.1" " 0.2" "-0.1" " 0.2" " 3.2"
## 2014 " 1.9" " 1.1" "-0.4" " 0.7" " 2.3" " 3.2" " 1.4" " 3.8" "-7.2" " 0.3"
## 2015 " 4.3" "-2.5" " 0.2" "-0.6" " 0.0" " 0.0" " 0.0" " 0.1" " 1.6" "-0.6"
## 2016 " 0.7" " 1.5" "-0.1" " 1.0" "-3.2" " 3.1" " 1.3" " 0.8" " 2.0" " 0.3"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 3.4" " 0.6" " 2.9" " 3.0" "-0.5" " 1.8"
## 2018 " 8.6" "-0.1" " 0.2" "-0.2" " 0.4" " 0.2" "-0.1" " 0.0" "-1.2" "-2.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.9" " 0.7" " 0.8" " 0.6" " 0.9" " 1.1" " 2.1" " 1.0" " 1.5" " 1.2"
## Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.7" " 1.7" " 7.1" "-8.1"
## 1998 " 6.1" " 5.8" "26.2" "-1.7"
## 1999 " 2.0" "14.3" "32.4" "-4.2"
## 2000 " 2.2" " 2.4" " 2.1" "-5.3"
## 2001 "-2.2" "-0.3" " 7.9" "-2.5"
## 2002 "-2.1" "-2.6" " 8.0" "-5.9"
## 2003 " 1.1" " 7.8" "54.1" "-0.8"
## 2004 "10.2" " 5.3" "28.7" "-7.9"
## 2005 " 0.4" " 6.5" "34.8" "-6.8"
## 2006 " 7.3" " 4.0" "32.6" "-2.1"
## 2007 "-8.5" " 0.1" "26.7" "-8.5"
## 2008 " 1.1" " 5.2" "15.9" "-2.4"
## 2009 " 7.2" " 3.1" "32.8" "-6.9"
## 2010 "-2.8" " 6.9" " 9.7" "-8.2"
## 2011 "-0.3" " 2.0" " 4.7" "-6.6"
## 2012 " 2.7" " 4.2" "23.3" "-0.6"
## 2013 " 3.0" " 0.2" " 7.6" "-3.1"
## 2014 " 1.3" " 0.1" " 8.5" "-7.2"
## 2015 "-0.2" "-1.1" " 1.2" "-3.0"
## 2016 "-0.5" " 0.1" " 7.0" "-3.2"
## 2017 "-0.3" " 1.3" "13.3" "-0.5"
## 2018 " 0.4" " 2.8" " 8.9" "-3.3"
## 2019 " NA" " NA" " 0.2" " 0.0"
## Avg " 1.2" " 3.0" "16.4" "-4.1"
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[238,]
|
SHY
|
100
|
2017-01-31
|
2017-02-28
|
28
|
82.29
|
82.32
|
0.04
|
|
[239,]
|
VOO
|
100
|
2017-02-28
|
2017-03-31
|
31
|
208.93
|
209.21
|
0.13
|
|
[240,]
|
SHY
|
100
|
2017-03-31
|
2017-04-28
|
28
|
82.37
|
82.52
|
0.19
|
|
[241,]
|
VEA
|
100
|
2017-04-28
|
2017-05-31
|
33
|
37.99
|
39.28
|
3.41
|
|
[242,]
|
VEA
|
100
|
2017-05-31
|
2017-06-30
|
30
|
39.28
|
39.53
|
0.64
|
|
[243,]
|
VEA
|
100
|
2017-06-30
|
2017-07-31
|
31
|
39.53
|
40.67
|
2.88
|
|
[244,]
|
VWO
|
100
|
2017-07-31
|
2017-08-31
|
31
|
41.19
|
42.43
|
3
|
|
[245,]
|
VWO
|
100
|
2017-08-31
|
2017-09-29
|
29
|
42.43
|
42.22
|
-0.5
|
|
[246,]
|
VEA
|
100
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
1.77
|
|
[247,]
|
VWO
|
100
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.34
|
|
[248,]
|
VOO
|
100
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
1.28
|
|
[249,]
|
VWO
|
100
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
8.56
|
|
[250,]
|
SHY
|
100
|
2018-01-31
|
2018-02-28
|
28
|
82.18
|
82.1
|
-0.1
|
|
[251,]
|
SHY
|
100
|
2018-02-28
|
2018-03-29
|
29
|
82.1
|
82.3
|
0.25
|
|
[252,]
|
SHY
|
100
|
2018-03-29
|
2018-04-30
|
32
|
82.3
|
82.11
|
-0.23
|
|
[253,]
|
SHY
|
100
|
2018-04-30
|
2018-05-31
|
31
|
82.11
|
82.39
|
0.35
|
|
[254,]
|
IEF
|
100
|
2018-05-31
|
2018-06-29
|
29
|
100.87
|
101.07
|
0.2
|
|
[255,]
|
SHY
|
100
|
2018-06-29
|
2018-07-31
|
32
|
82.43
|
82.38
|
-0.06
|
|
[256,]
|
LQD
|
100
|
2018-07-31
|
2018-08-31
|
31
|
113.62
|
113.64
|
0.02
|
|
[257,]
|
IEF
|
100
|
2018-08-31
|
2018-09-28
|
28
|
101.56
|
100.33
|
-1.21
|
|
[258,]
|
LQD
|
100
|
2018-09-28
|
2018-10-31
|
33
|
113.48
|
111.16
|
-2.05
|
|
[259,]
|
SHY
|
100
|
2018-10-31
|
2018-11-30
|
30
|
82.67
|
82.99
|
0.38
|
|
[260,]
|
IEF
|
100
|
2018-11-30
|
2018-12-31
|
31
|
101.36
|
104.2
|
2.8
|
|
[261,]
|
IEF
|
100
|
2018-12-31
|
2019-01-04
|
4
|
104.2
|
104.4
|
0.19
|


Now with some leverage!!
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 200
##
## Performance summary :
## CAGR Best Worst
## 34 35.8 -17.1
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Jan2019
|
Win.Percent
|
70.9
|
Win.Percent.Day
|
67.5
|
|
Cagr
|
35.77
|
Avg.Trade
|
2.8
|
Best.Day
|
35.8
|
|
Sharpe
|
1.35
|
Avg.Win
|
5.5
|
Worst.Day
|
-17.1
|
|
DVR
|
1.11
|
Avg.Loss
|
-3.7
|
Win.Percent.Month
|
70.6
|
|
Volatility
|
23.81
|
Best.Trade
|
35.78
|
Best.Month
|
35.8
|
|
MaxDD
|
-17.05
|
Worst.Trade
|
-17.05
|
Worst.Month
|
-17.1
|
|
AvgDD
|
-5.58
|
WinLoss.Ratio
|
1.48
|
Win.Percent.Year
|
95.7
|
|
VaR
|
-5.97
|
Avg.Len
|
1
|
Best.Year
|
131.4
|
|
CVaR
|
-10.73
|
Num.Trades
|
261
|
Worst.Year
|
0.4
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
97.2
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 1.9" " 8.9" " 15.9" "-11.2"
## 1998 " 2.4" " -0.5" " 10.2" " 2.0" " -3.5" " 2.8" " -1.5" " 6.4"
## 1999 " 8.4" " -7.4" " 1.4" " 30.8" " -8.3" " 0.3" " 0.3" " 0.3"
## 2000 " -0.4" " 1.5" " 1.4" " -6.0" " 0.6" " 2.6" " 1.8" " 2.9"
## 2001 " 2.7" " 2.4" " -0.3" " -2.3" " 3.2" " 1.1" " 7.7" " 3.6"
## 2002 " 5.7" " 2.4" " -6.4" " 3.1" " 2.1" " 3.4" " 4.9" " 5.0"
## 2003 " -1.6" " 4.0" " -0.8" " 4.7" " 12.3" " 11.8" " 14.1" " -0.1"
## 2004 " 6.2" " 8.3" " 0.8" "-15.8" " 0.0" " 0.0" " 0.6" " 6.2"
## 2005 " -0.3" " 17.7" "-13.6" " 1.0" " 3.7" " 6.9" " 13.9" " 3.0"
## 2006 " 23.3" " -4.3" " 2.3" " 0.4" " 0.3" " 0.5" " 1.3" " 5.1"
## 2007 " 0.2" " -4.6" " 5.6" " 7.6" " 6.2" " 1.0" " 1.8" " 4.5"
## 2008 " 6.7" " 2.5" " 2.7" " -4.8" " 3.6" " 0.5" " 1.4" " 3.1"
## 2009 " -3.6" "-10.4" " 6.6" " -5.5" " 35.8" " -4.9" " 21.8" " -1.4"
## 2010 " 2.5" " 1.0" " 16.4" " -0.4" "-16.0" " 6.1" " 1.8" " -5.1"
## 2011 " 0.3" " 6.9" " -5.0" " 6.7" " -5.4" " -3.4" " -4.8" " 9.3"
## 2012 " 4.3" " 10.9" " 6.6" " -1.3" " 5.7" " -0.8" " 2.4" " -0.1"
## 2013 " -2.6" " 0.1" " 7.2" " 3.1" " -5.9" " -0.2" " 0.3" " -0.2"
## 2014 " 3.8" " 2.3" " -0.7" " 1.4" " 4.6" " 6.3" " 2.7" " 7.7"
## 2015 " 8.6" " -4.9" " 0.4" " -1.3" " 0.1" " 0.1" " 0.1" " 0.2"
## 2016 " 1.3" " 3.0" " -0.1" " 2.0" " -6.5" " 6.2" " 2.6" " 1.6"
## 2017 " 0.2" " 0.1" " 0.3" " 0.4" " 6.8" " 1.3" " 5.8" " 6.0"
## 2018 " 17.1" " -0.2" " 0.5" " -0.5" " 0.7" " 0.4" " -0.1" " 0.0"
## 2019 " 0.4" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 3.9" " 1.5" " 1.7" " 1.2" " 1.9" " 2.3" " 4.3" " 2.1"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 1.6" " -6.7" " 1.3" " 3.3" " 13.3" "-15.9"
## 1998 " 7.3" " -1.5" " 12.1" " 11.6" " 57.5" " -3.5"
## 1999 " 1.7" " 0.5" " 4.0" " 28.6" " 68.5" " -8.3"
## 2000 "-10.6" " 1.8" " 4.3" " 4.8" " 3.7" "-10.6"
## 2001 " -1.9" " 4.4" " -4.5" " -0.5" " 16.0" " -5.0"
## 2002 " 7.7" " -2.5" " -4.2" " -5.3" " 15.9" "-11.5"
## 2003 " 9.1" " 18.2" " 2.2" " 15.6" "131.4" " -1.6"
## 2004 " 11.2" " 4.6" " 20.3" " 10.7" " 61.5" "-15.8"
## 2005 " 16.5" " -0.2" " 0.8" " 13.1" " 76.7" "-13.6"
## 2006 " 0.5" " 6.5" " 14.7" " 8.0" " 72.5" " -4.3"
## 2007 " 19.7" " 26.0" "-17.1" " 0.1" " 55.0" "-17.1"
## 2008 " -0.3" " 2.2" " 2.2" " 10.3" " 33.6" " -4.8"
## 2009 " 7.9" " -4.8" " 14.4" " 6.2" " 68.3" "-13.6"
## 2010 " 0.0" " 6.2" " -5.7" " 13.8" " 17.8" "-16.4"
## 2011 " 4.5" " -2.6" " -0.6" " 4.0" " 8.8" "-13.0"
## 2012 " 2.2" " -1.1" " 5.4" " 8.5" " 50.9" " -1.3"
## 2013 " 0.4" " 6.4" " 6.0" " 0.4" " 15.2" " -6.1"
## 2014 "-14.3" " 0.5" " 2.6" " 0.3" " 16.5" "-14.3"
## 2015 " 3.2" " -1.3" " -0.3" " -2.2" " 2.0" " -6.0"
## 2016 " 4.0" " 0.6" " -0.9" " 0.1" " 14.2" " -6.5"
## 2017 " -1.0" " 3.5" " -0.7" " 2.6" " 27.8" " -1.0"
## 2018 " -2.4" " -4.1" " 0.8" " 5.6" " 17.6" " -6.5"
## 2019 " NA" " NA" " NA" " NA" " 0.4" " 0.0"
## Avg " 3.0" " 2.6" " 2.6" " 6.3" " 36.8" " -8.5"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
41.2519378
|
34.613736
|
-4.01763103
|
55.5252547
|
-2.0850810
|
-9.2477249
|
-1.7119029
|
-9.8782270
|
|
1.4411161
|
-6.129696
|
-5.79442673
|
0.8325736
|
-9.6170185
|
-16.6506651
|
-1.2242908
|
-8.4276450
|
|
-1.8040397
|
3.481770
|
0.26606960
|
11.4826221
|
-1.3618059
|
5.4113494
|
0.3462167
|
0.2991361
|
|
0.5011327
|
4.629438
|
-4.79170923
|
-10.9361755
|
-9.6270892
|
-10.2148588
|
-1.2249242
|
-7.2419672
|
|
12.6806324
|
-2.250500
|
1.90872524
|
-8.7316456
|
-0.5229469
|
7.7796226
|
1.3418315
|
2.1142964
|
|
10.7917823
|
-6.443910
|
-1.31090254
|
-26.1263588
|
-5.6410381
|
0.8941461
|
0.2724300
|
-1.0280427
|
|
21.9618618
|
5.058749
|
-0.03068122
|
4.1632189
|
4.1475849
|
-3.9690240
|
0.1900515
|
-1.8542549
|
|
26.2515496
|
-6.074573
|
2.83082127
|
-23.4719600
|
0.6413608
|
5.3073213
|
1.6653953
|
3.6709373
|
|
19.3806070
|
3.713579
|
-1.95617672
|
-12.2184784
|
0.1400336
|
-13.7337617
|
-0.1757335
|
-5.5221441
|
|
-20.2834946
|
-42.434305
|
-3.94243138
|
-46.7686752
|
-9.7675298
|
-16.5195003
|
1.1823202
|
-2.1307625
|
|
4.0609263
|
-12.266966
|
0.67987603
|
3.1588462
|
-5.5557763
|
-1.7784432
|
2.0644143
|
3.6413353
|
|
-44.6349654
|
-40.213461
|
8.09367151
|
-24.1795863
|
4.3604042
|
22.4684368
|
4.6658102
|
14.0645514
|
|
-10.3992089
|
-7.346528
|
5.07625789
|
-0.5459969
|
1.8839990
|
12.0256450
|
2.3346532
|
7.7205628
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[249,]
|
VWO
|
200
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
17.12
|
|
[250,]
|
SHY
|
200
|
2018-01-31
|
2018-02-28
|
28
|
82.18
|
82.1
|
-0.2
|
|
[251,]
|
SHY
|
200
|
2018-02-28
|
2018-03-29
|
29
|
82.1
|
82.3
|
0.49
|
|
[252,]
|
SHY
|
200
|
2018-03-29
|
2018-04-30
|
32
|
82.3
|
82.11
|
-0.47
|
|
[253,]
|
SHY
|
200
|
2018-04-30
|
2018-05-31
|
31
|
82.11
|
82.39
|
0.7
|
|
[254,]
|
IEF
|
200
|
2018-05-31
|
2018-06-29
|
29
|
100.87
|
101.07
|
0.39
|
|
[255,]
|
SHY
|
200
|
2018-06-29
|
2018-07-31
|
32
|
82.43
|
82.38
|
-0.12
|
|
[256,]
|
LQD
|
200
|
2018-07-31
|
2018-08-31
|
31
|
113.62
|
113.64
|
0.04
|
|
[257,]
|
IEF
|
200
|
2018-08-31
|
2018-09-28
|
28
|
101.56
|
100.33
|
-2.41
|
|
[258,]
|
LQD
|
200
|
2018-09-28
|
2018-10-31
|
33
|
113.48
|
111.16
|
-4.1
|
|
[259,]
|
SHY
|
200
|
2018-10-31
|
2018-11-30
|
30
|
82.67
|
82.99
|
0.76
|
|
[260,]
|
IEF
|
200
|
2018-11-30
|
2018-12-31
|
31
|
101.36
|
104.2
|
5.61
|
|
[261,]
|
IEF
|
200
|
2018-12-31
|
2019-01-04
|
4
|
104.2
|
104.4
|
0.38
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Jan2019
|
Win.Percent
|
70.9
|
Win.Percent.Day
|
67.5
|
|
Cagr
|
35.77
|
Avg.Trade
|
2.8
|
Best.Day
|
35.8
|
|
Sharpe
|
1.35
|
Avg.Win
|
5.5
|
Worst.Day
|
-17.1
|
|
DVR
|
1.11
|
Avg.Loss
|
-3.7
|
Win.Percent.Month
|
70.6
|
|
Volatility
|
23.81
|
Best.Trade
|
35.78
|
Best.Month
|
35.8
|
|
MaxDD
|
-17.05
|
Worst.Trade
|
-17.05
|
Worst.Month
|
-17.1
|
|
AvgDD
|
-5.58
|
WinLoss.Ratio
|
1.48
|
Win.Percent.Year
|
95.7
|
|
VaR
|
-5.97
|
Avg.Len
|
1
|
Best.Year
|
131.4
|
|
CVaR
|
-10.73
|
Num.Trades
|
261
|
Worst.Year
|
0.4
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
97.2
|
|
|
|
|
Now try the VAA G4 T2 B1 model
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 13.9 15.5 -8.6
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
70.9
|
Win.Percent.Day
|
67.9
|
|
Cagr
|
13.93
|
Avg.Trade
|
0.8
|
Best.Day
|
15.5
|
|
Sharpe
|
1.32
|
Avg.Win
|
1.7
|
Worst.Day
|
-8.6
|
|
DVR
|
1.23
|
Avg.Loss
|
-1.3
|
Win.Percent.Month
|
67.9
|
|
Volatility
|
10.23
|
Best.Trade
|
8.94
|
Best.Month
|
15.5
|
|
MaxDD
|
-12.21
|
Worst.Trade
|
-5.2
|
Worst.Month
|
-8.6
|
|
AvgDD
|
-2.81
|
WinLoss.Ratio
|
1.29
|
Win.Percent.Year
|
91.7
|
|
VaR
|
-3.11
|
Avg.Len
|
1
|
Best.Year
|
47.4
|
|
CVaR
|
-5.13
|
Num.Trades
|
374
|
Worst.Year
|
-0.3
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
97.3180076628352
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.9" " 4.8" " -7.1"
## 1998 " 1.2" " -0.3" " 4.2" " 0.8" " -1.6" " 1.4" " -0.7" " 3.2"
## 1999 " 1.8" " -3.7" " 0.7" " 9.6" " -4.6" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " 0.7" " -4.2" " 0.3" " 1.3" " -1.8" " 1.5"
## 2001 " 1.3" " 1.2" " -0.1" " -1.2" " -1.0" " 0.5" " 3.9" " 1.8"
## 2002 " 0.7" " 1.2" " -3.2" " 1.6" " 1.0" " 1.7" " 2.4" " 2.5"
## 2003 " -0.8" " 2.0" " -0.4" " 2.4" " 5.7" " 4.3" " 5.1" " 0.0"
## 2004 " 2.4" " 3.3" " 0.4" " -5.5" " 0.0" " 0.0" " 0.3" " 3.1"
## 2005 " -0.9" " 6.8" " -4.9" " 0.5" " 1.8" " 1.8" " 3.0" " 1.5"
## 2006 " 9.2" " -1.4" " 2.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.1"
## 2007 " 0.5" " -1.1" " 1.4" " 3.9" " 4.9" " 0.5" " 0.9" " 2.3"
## 2008 " 3.4" " 1.2" " 1.3" " -2.4" " 1.5" " 0.2" " 0.7" " 1.5"
## 2009 " -1.8" " -5.2" " 3.3" " -2.7" " 15.5" " -2.1" " 10.7" " 1.9"
## 2010 " 1.2" " 0.5" " 7.1" " 0.7" " -8.6" " 3.0" " 0.9" " -3.1"
## 2011 " 0.1" " 3.6" " -1.2" " 3.2" " -2.8" " -1.3" " -2.2" " 4.7"
## 2012 " 2.1" " 4.9" " 0.4" " -1.5" " 2.9" " -0.4" " 0.7" " -0.1"
## 2013 " -1.3" " 0.1" " 2.4" " 1.5" " -0.3" " -0.1" " 0.2" " -0.1"
## 2014 " 1.9" " 1.1" " 0.3" " 0.8" " 2.0" " 2.6" " 0.0" " 3.9"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 0.7" " -1.8" " 3.1" " 1.3" " 0.5"
## 2017 " 0.1" " 0.0" " 1.5" " 0.2" " 2.2" " 0.7" " 4.1" " 1.5"
## 2018 " 7.1" " -0.1" " 0.2" " -0.2" " 0.4" " 0.2" " -0.1" " 0.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.4" " 0.6" " 0.7" " 0.3" " 0.8" " 1.0" " 1.5" " 0.9"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -6.2" " 0.7" " 1.7" " -0.3" "-12.2"
## 1998 " 3.6" " -0.8" " 5.7" " 1.4" " 19.3" " -1.6"
## 1999 " 0.8" " 0.3" " 3.0" " 11.9" " 20.9" " -4.6"
## 2000 " -2.3" " 0.9" " 2.2" " 2.4" " 1.3" " -5.2"
## 2001 " -0.9" " 2.2" " -2.2" " -0.3" " 5.2" " -2.5"
## 2002 " 3.9" " -1.3" " -2.1" " -4.4" " 3.8" " -7.6"
## 2003 " 4.5" " 7.8" " 1.6" " 7.8" " 47.4" " -0.8"
## 2004 " 2.9" " 2.8" " 8.7" " 4.9" " 25.0" " -5.5"
## 2005 " 6.5" " -0.1" " 0.4" " 5.8" " 24.0" " -4.9"
## 2006 " 0.7" " 4.2" " 5.5" " 3.6" " 30.3" " -1.4"
## 2007 " 7.3" " 8.7" " -6.1" " 0.1" " 24.7" " -6.1"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " 15.6" " -2.4"
## 2009 " 3.8" " -2.6" " 5.6" " 2.5" " 30.7" " -6.9"
## 2010 " 0.0" " 3.6" " -3.9" " 7.2" " 8.0" " -8.6"
## 2011 " 2.2" " -1.3" " -1.0" " 2.0" " 5.6" " -6.3"
## 2012 " 1.1" " -1.3" " 2.0" " 5.7" " 17.5" " -1.5"
## 2013 " 0.2" " 3.8" " 1.8" " 0.2" " 8.7" " -1.3"
## 2014 " -4.3" " 0.3" " 1.3" " 0.1" " 10.3" " -4.3"
## 2015 " 1.6" " -0.6" " -0.2" " -1.1" " 1.2" " -3.0"
## 2016 " 1.0" " -1.0" " -0.5" " 0.1" " 5.5" " -1.8"
## 2017 " 1.0" " 2.1" " 1.4" " 1.5" " 17.5" " 0.0"
## 2018 " -1.2" " -2.0" " 0.4" " 2.8" " 7.4" " -3.3"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.4" " 0.9" " 1.1" " 2.6" " 13.7" " -3.8"

Now try the VAA G4 T3 B1 model
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 12.7 12.2 -9.8
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
71.3
|
Win.Percent.Day
|
67.2
|
|
Cagr
|
12.73
|
Avg.Trade
|
0.6
|
Best.Day
|
12.2
|
|
Sharpe
|
1.34
|
Avg.Win
|
1.2
|
Worst.Day
|
-9.8
|
|
DVR
|
1.24
|
Avg.Loss
|
-1
|
Win.Percent.Month
|
67.2
|
|
Volatility
|
9.21
|
Best.Trade
|
5.96
|
Best.Month
|
12.2
|
|
MaxDD
|
-12.4
|
Worst.Trade
|
-5.2
|
Worst.Month
|
-9.8
|
|
AvgDD
|
-2.75
|
WinLoss.Ratio
|
1.2
|
Win.Percent.Year
|
87.5
|
|
VaR
|
-3.09
|
Avg.Len
|
1
|
Best.Year
|
42.3
|
|
CVaR
|
-4.71
|
Num.Trades
|
487
|
Worst.Year
|
-2.3
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
94.2528735632184
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.6" " 3.7" " -9.8"
## 1998 " 1.2" " -0.3" " 4.0" " 0.7" " -5.3" " 1.4" " -0.7" " 3.2"
## 1999 " 1.5" " -3.7" " 0.7" " 8.1" " -3.8" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " 0.7" " -5.3" " 0.3" " 1.3" " -2.9" " 1.5"
## 2001 " 1.3" " 1.2" " -0.1" " -1.2" " -0.4" " 0.5" " 3.9" " 1.8"
## 2002 " -1.1" " 1.2" " -3.2" " 1.6" " 1.0" " 1.7" " 2.4" " 2.5"
## 2003 " -0.8" " 2.0" " -0.4" " 2.4" " 5.9" " 3.3" " 4.0" " 0.0"
## 2004 " 2.2" " 2.7" " -0.2" " -4.2" " 0.0" " 0.0" " 0.3" " 3.1"
## 2005 " -1.4" " 4.3" " -3.8" " 0.5" " 1.8" " 1.4" " 3.2" " 1.5"
## 2006 " 7.0" " -0.9" " 1.9" " 0.2" " 0.2" " 0.2" " 0.7" " 2.2"
## 2007 " 0.8" " -1.4" " 2.4" " 4.0" " 4.4" " 0.5" " 0.9" " 2.3"
## 2008 " 3.4" " 1.2" " 1.3" " -2.4" " 1.4" " 0.2" " 0.7" " 1.5"
## 2009 " -1.8" " -5.2" " 3.3" " -2.7" " 12.2" " -1.4" " 9.7" " 2.5"
## 2010 " 1.2" " 0.5" " 6.8" " -0.5" " -5.3" " 3.0" " 0.9" " -3.6"
## 2011 " 0.1" " 2.3" " 1.0" " 4.2" " -2.3" " -1.3" " -1.7" " 4.7"
## 2012 " 2.1" " 4.9" " 0.3" " -1.7" " 2.9" " -0.4" " 0.9" " -0.1"
## 2013 " -1.3" " 0.1" " 1.2" " 1.5" " -1.9" " -0.1" " 0.2" " -0.1"
## 2014 " 1.9" " 1.1" " 1.7" " 1.1" " 2.4" " 2.1" " -0.8" " 3.0"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.2" " -0.6" " 3.1" " 1.3" " 0.4"
## 2017 " 0.1" " 0.0" " 2.0" " 0.2" " 1.9" " 0.7" " 3.4" " 1.1"
## 2018 " 6.3" " -0.1" " 0.2" " -0.2" " 0.4" " 0.2" " -0.1" " 0.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.2" " 0.4" " 0.9" " 0.3" " 0.7" " 0.9" " 1.3" " 0.8"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.7" " 0.7" " 1.7" " -1.8" "-12.4"
## 1998 " 3.6" " -0.8" " 5.9" " 2.0" " 15.5" " -5.3"
## 1999 " 0.8" " 0.3" " 4.7" " 9.9" " 19.6" " -3.8"
## 2000 " -3.6" " 0.9" " 2.2" " 2.4" " -2.3" " -8.6"
## 2001 " -0.9" " 2.2" " -2.2" " -0.3" " 5.8" " -2.5"
## 2002 " 3.9" " -1.3" " -2.1" " -2.2" " 4.3" " -5.4"
## 2003 " 4.5" " 7.1" " 1.4" " 6.9" " 42.3" " -0.8"
## 2004 " 2.9" " 2.1" " 7.1" " 4.4" " 21.8" " -4.4"
## 2005 " 4.0" " -0.1" " 0.4" " 3.9" " 16.5" " -3.8"
## 2006 " 1.3" " 4.1" " 4.3" " 2.8" " 26.5" " -0.9"
## 2007 " 5.1" " 6.3" " -5.5" " 0.1" " 21.1" " -5.5"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " 15.5" " -2.4"
## 2009 " 5.9" " -2.4" " 5.8" " 2.0" " 29.7" " -6.9"
## 2010 " 0.0" " 3.6" " -2.6" " 7.6" " 11.6" " -5.8"
## 2011 " 2.2" " -1.3" " -1.4" " 2.0" " 8.6" " -5.2"
## 2012 " 1.1" " -0.5" " 1.3" " 4.1" " 15.9" " -1.7"
## 2013 " 0.2" " 4.0" " 0.9" " 0.2" " 4.9" " -2.0"
## 2014 " -3.0" " 0.3" " 1.3" " 0.1" " 11.5" " -3.0"
## 2015 " 1.6" " -0.6" " -0.2" " -1.1" " 1.2" " -3.0"
## 2016 " 1.2" " -1.3" " -0.5" " 0.1" " 7.2" " -1.8"
## 2017 " 1.4" " 2.2" " 1.2" " 2.2" " 17.7" " 0.0"
## 2018 " -1.2" " -2.0" " 0.4" " 2.8" " 6.6" " -3.3"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.4" " 0.9" " 1.1" " 2.5" " 12.5" " -3.7"


Now try with 6 month top asset VAA G4 T1 B1 model
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 15.1 17.9 -8.5
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
71.6
|
Win.Percent.Day
|
68.2
|
|
Cagr
|
15.13
|
Avg.Trade
|
1.3
|
Best.Day
|
17.9
|
|
Sharpe
|
1.26
|
Avg.Win
|
2.5
|
Worst.Day
|
-8.5
|
|
DVR
|
1.17
|
Avg.Loss
|
-1.9
|
Win.Percent.Month
|
68.2
|
|
Volatility
|
11.7
|
Best.Trade
|
17.89
|
Best.Month
|
17.9
|
|
MaxDD
|
-8.71
|
Worst.Trade
|
-8.53
|
Worst.Month
|
-8.5
|
|
AvgDD
|
-2.89
|
WinLoss.Ratio
|
1.36
|
Win.Percent.Year
|
87.5
|
|
VaR
|
-2.89
|
Avg.Len
|
1
|
Best.Year
|
48.6
|
|
CVaR
|
-5.52
|
Num.Trades
|
261
|
Worst.Year
|
-2.2
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
95.4022988505747
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug Sep Oct
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 0.7" " 4.5" " 8.0" "-5.6" " 2.5" "-3.4"
## 1998 " 1.2" "-0.3" " 5.1" " 1.0" "-1.7" " 1.4" "-0.7" " 1.0" " 3.6" "-0.8"
## 1999 " 4.2" "-3.1" " 0.7" "15.4" "-4.2" " 0.2" " 0.1" " 0.1" " 0.8" " 0.3"
## 2000 "-0.2" " 0.8" " 0.7" "-7.5" " 0.3" " 1.3" " 0.9" " 1.6" "-5.3" " 0.9"
## 2001 " 1.3" " 1.2" "-0.1" "-1.4" " 0.7" " 0.5" " 1.4" " 1.8" "-0.9" " 2.2"
## 2002 " 0.8" " 1.2" "-0.8" " 2.7" " 0.6" " 0.9" " 2.4" " 2.5" " 3.9" "-1.3"
## 2003 "-0.8" " 2.0" " 0.1" " 2.4" " 6.4" "-0.1" " 7.0" " 1.5" " 4.5" " 9.1"
## 2004 " 3.1" " 4.2" " 0.4" "-7.9" "-0.5" " 0.1" " 0.3" " 0.7" " 0.2" " 0.8"
## 2005 "-0.1" " 8.9" "-6.8" " 1.6" " 0.6" " 3.5" " 7.0" " 2.0" " 8.2" "-1.2"
## 2006 "11.6" "-2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5" " 0.2" " 3.3"
## 2007 " 0.1" "-2.3" " 4.3" " 3.8" " 6.7" " 0.5" " 0.9" " 2.3" " 9.8" "13.0"
## 2008 " 3.4" " 1.2" " 1.3" "-2.4" "-1.0" " 0.2" " 0.7" " 0.5" "-0.1" " 1.1"
## 2009 "-3.9" "-0.7" " 3.3" "-2.7" "17.9" "-2.5" "10.9" "-0.7" "10.0" "-2.4"
## 2010 " 1.2" " 0.5" " 8.2" " 1.6" "-8.0" " 3.0" " 0.9" "-2.6" " 0.0" " 3.1"
## 2011 " 0.0" " 3.5" " 0.0" " 2.9" "-1.2" "-1.2" "-2.1" " 4.7" " 2.2" "-1.3"
## 2012 " 0.9" " 0.0" " 3.3" "-0.6" " 0.8" " 0.9" " 1.2" "-0.1" " 1.1" "-0.1"
## 2013 "-1.3" " 0.1" " 1.2" " 0.1" "-3.0" "-0.1" " 0.2" "-0.1" " 0.2" " 3.2"
## 2014 " 1.9" " 1.1" " 0.9" " 0.7" " 2.3" " 2.1" "-1.4" " 3.8" "-7.2" " 1.5"
## 2015 " 4.3" "-2.5" " 0.9" "-0.6" "-0.4" "-1.6" " 0.0" " 0.0" " 0.3" "-0.6"
## 2016 " 3.3" " 1.5" "-0.1" " 0.4" " 0.0" " 3.1" " 1.3" " 0.8" " 2.0" " 0.3"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 1.4" " 0.6" " 5.3" " 3.0" "-0.5" " 1.8"
## 2018 " 8.6" "-2.2" " 0.2" "-0.2" " 0.4" " 0.0" "-0.1" " 0.3" "-1.2" " 0.2"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.7" " 0.6" " 1.1" " 0.4" " 0.8" " 0.8" " 2.0" " 0.9" " 1.5" " 1.3"
## Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.7" " 1.7" " 8.6" "-6.5"
## 1998 " 0.5" " 5.8" "17.0" "-1.7"
## 1999 " 4.1" " 9.4" "30.1" "-4.2"
## 2000 " 2.2" " 2.6" "-2.2" "-8.7"
## 2001 "-2.2" "-1.3" " 3.2" "-3.5"
## 2002 "-2.1" " 2.3" "13.7" "-3.3"
## 2003 " 1.1" " 7.8" "48.6" "-0.8"
## 2004 "10.2" " 5.3" "17.1" "-8.4"
## 2005 " 0.4" " 6.5" "33.7" "-6.8"
## 2006 " 1.9" " 4.0" "25.9" "-2.1"
## 2007 "-8.5" " 0.1" "32.9" "-8.5"
## 2008 " 1.1" " 5.2" "11.5" "-3.4"
## 2009 " 7.2" " 3.1" "44.0" "-4.6"
## 2010 "-2.8" " 7.6" "12.3" "-8.0"
## 2011 "-0.1" " 2.0" " 9.7" "-4.4"
## 2012 " 0.1" " 4.2" "12.2" "-0.6"
## 2013 " 3.0" "-0.2" " 3.2" "-3.1"
## 2014 " 1.3" " 0.1" " 7.1" "-7.2"
## 2015 "-0.4" "-0.5" "-1.4" "-5.4"
## 2016 "-3.2" " 0.1" " 9.8" "-3.2"
## 2017 "-0.3" " 3.7" "16.4" "-0.5"
## 2018 " 0.4" " 0.8" " 7.0" "-2.7"
## 2019 " NA" " NA" " 0.2" " 0.0"
## Avg " 0.6" " 3.1" "15.0" "-4.1"
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[249,]
|
VWO
|
100
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
8.56
|
|
[250,]
|
LQD
|
100
|
2018-01-31
|
2018-02-28
|
28
|
115.82
|
113.23
|
-2.24
|
|
[251,]
|
SHY
|
100
|
2018-02-28
|
2018-03-29
|
29
|
82.1
|
82.3
|
0.25
|
|
[252,]
|
SHY
|
100
|
2018-03-29
|
2018-04-30
|
32
|
82.3
|
82.11
|
-0.23
|
|
[253,]
|
SHY
|
100
|
2018-04-30
|
2018-05-31
|
31
|
82.11
|
82.39
|
0.35
|
|
[254,]
|
SHY
|
100
|
2018-05-31
|
2018-06-29
|
29
|
82.39
|
82.43
|
0.04
|
|
[255,]
|
SHY
|
100
|
2018-06-29
|
2018-07-31
|
32
|
82.43
|
82.38
|
-0.06
|
|
[256,]
|
SHY
|
100
|
2018-07-31
|
2018-08-31
|
31
|
82.38
|
82.67
|
0.35
|
|
[257,]
|
IEF
|
100
|
2018-08-31
|
2018-09-28
|
28
|
101.56
|
100.33
|
-1.21
|
|
[258,]
|
SHY
|
100
|
2018-09-28
|
2018-10-31
|
33
|
82.55
|
82.67
|
0.15
|
|
[259,]
|
SHY
|
100
|
2018-10-31
|
2018-11-30
|
30
|
82.67
|
82.99
|
0.38
|
|
[260,]
|
SHY
|
100
|
2018-11-30
|
2018-12-31
|
31
|
82.99
|
83.62
|
0.76
|
|
[261,]
|
IEF
|
100
|
2018-12-31
|
2019-01-04
|
4
|
104.2
|
104.4
|
0.19
|


Now try the DAA canary universe
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 16.2 17.9 -9
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
69.3
|
Win.Percent.Day
|
66.1
|
|
Cagr
|
16.24
|
Avg.Trade
|
1.4
|
Best.Day
|
17.9
|
|
Sharpe
|
1.2
|
Avg.Win
|
3
|
Worst.Day
|
-9
|
|
DVR
|
1.11
|
Avg.Loss
|
-2.2
|
Win.Percent.Month
|
66.1
|
|
Volatility
|
13.22
|
Best.Trade
|
17.89
|
Best.Month
|
17.9
|
|
MaxDD
|
-20.14
|
Worst.Trade
|
-9.02
|
Worst.Month
|
-9
|
|
AvgDD
|
-3.6
|
WinLoss.Ratio
|
1.36
|
Win.Percent.Year
|
87.5
|
|
VaR
|
-3.68
|
Avg.Len
|
1
|
Best.Year
|
60.3
|
|
CVaR
|
-6.94
|
Num.Trades
|
261
|
Worst.Year
|
-5.9
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
92.72030651341
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.5" " 8.0" " -5.6"
## 1998 " 1.2" " -0.3" " 5.1" " 1.0" " -1.7" " 1.4" " -0.7" " 3.2"
## 1999 " 4.2" " -3.7" " 0.7" " 15.4" " -4.2" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " -1.0" " -3.0" " 0.3" " 1.3" " 0.9" " 1.5"
## 2001 " 1.3" " -8.7" " -0.1" " -1.2" " 1.6" " 0.5" " 3.9" " 1.8"
## 2002 " 2.9" " 2.7" " 4.5" " 1.6" " -0.4" " -8.2" " 2.4" " 2.5"
## 2003 " -0.8" " 1.4" " -0.4" " 2.4" " 6.2" " 5.9" " 7.0" " 0.0"
## 2004 " 3.1" " 4.2" " 0.4" " -7.9" " 0.0" " 0.0" " 0.3" " 3.1"
## 2005 " -0.1" " 8.9" " -6.8" " 0.5" " 1.1" " 3.5" " 7.0" " 1.5"
## 2006 " 11.6" " -2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5"
## 2007 " 0.1" " -2.3" " 2.8" " 3.8" " 3.1" " 0.5" " 0.9" " 0.0"
## 2008 " -9.0" " 1.2" " -3.7" " -2.4" " 1.8" " 0.2" " 0.7" " 1.5"
## 2009 " -1.8" " -5.2" " 3.3" " 17.4" " 17.9" " -2.5" " 10.9" " -0.7"
## 2010 " 1.2" " 0.3" " 8.2" " -0.2" " -8.0" " 3.0" " 0.9" " -2.6"
## 2011 " 0.1" " 3.5" " -2.5" " 3.4" " -2.7" " -1.7" " -2.4" " 4.7"
## 2012 " 2.1" " 5.4" " 3.3" " -0.6" " 2.9" " -0.4" " 1.2" " -0.1"
## 2013 " -1.3" " 0.1" " 3.6" " 1.5" " -3.0" " -0.1" " 0.2" " -0.1"
## 2014 " 1.9" " 1.1" " -0.4" " 0.7" " 2.3" " 3.2" " 1.4" " 3.8"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.0" " -3.2" " 3.1" " 5.1" " 0.8"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 3.4" " 0.6" " 2.9" " 3.0"
## 2018 " 8.6" " -0.1" " 0.2" " -2.8" " 0.4" " 0.2" " -0.1" " 0.0"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.3" " 0.3" " 0.9" " 1.4" " 0.8" " 0.7" " 2.2" " 0.9"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.4" " 0.7" " 1.7" " 7.1" " -8.1"
## 1998 " 3.6" " -0.8" " 6.1" " 5.8" " 26.2" " -1.7"
## 1999 " 0.8" " 3.7" " 2.0" " 14.3" " 37.0" " -4.2"
## 2000 " -5.3" " 0.9" " 2.2" " 2.4" " 0.4" " -5.4"
## 2001 " -0.9" " 2.2" " -2.2" " 7.8" " 5.2" " -9.9"
## 2002 " 3.9" " -1.3" " 6.2" " -2.6" " 14.0" " -8.6"
## 2003 " 4.5" " 9.1" " 1.1" " 7.8" " 53.2" " -0.8"
## 2004 " 5.6" " 2.3" " 10.2" " 5.3" " 28.7" " -7.9"
## 2005 " 8.2" " -0.1" " 0.4" " 6.5" " 33.7" " -6.8"
## 2006 " 0.2" " 3.3" " 7.3" " 4.0" " 32.6" " -2.1"
## 2007 " 9.8" " 13.0" " -8.5" " 0.8" " 24.8" " -8.5"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " -3.0" "-13.4"
## 2009 " 3.9" " -2.4" " 7.2" " 3.1" " 60.3" " -6.9"
## 2010 " 0.0" " 3.1" " -2.8" " 6.9" " 9.5" " -8.2"
## 2011 " 2.2" " -1.3" " -0.3" " 2.0" " 4.7" " -6.6"
## 2012 " 1.1" " -0.6" " 2.7" " 4.2" " 23.3" " -0.6"
## 2013 " 0.2" " 3.2" " 3.0" " 0.2" " 7.6" " -3.1"
## 2014 " -7.2" " 0.3" " 2.8" " 0.1" " 10.0" " -7.2"
## 2015 " 1.6" " -0.6" " -0.2" " -1.1" " 1.2" " -3.0"
## 2016 " 2.0" " 0.3" " -0.5" " 0.1" " 11.1" " -3.2"
## 2017 " -0.5" " 1.8" " -0.3" " 1.3" " 13.3" " -0.5"
## 2018 " -1.2" " -2.0" " 0.4" " -8.8" " -5.9" "-13.5"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.5" " 1.4" " 1.7" " 2.9" " 16.5" " -5.4"
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[238,]
|
SHY
|
100
|
2017-01-31
|
2017-02-28
|
28
|
82.29
|
82.32
|
0.04
|
|
[239,]
|
VOO
|
100
|
2017-02-28
|
2017-03-31
|
31
|
208.93
|
209.21
|
0.13
|
|
[240,]
|
SHY
|
100
|
2017-03-31
|
2017-04-28
|
28
|
82.37
|
82.52
|
0.19
|
|
[241,]
|
VEA
|
100
|
2017-04-28
|
2017-05-31
|
33
|
37.99
|
39.28
|
3.41
|
|
[242,]
|
VEA
|
100
|
2017-05-31
|
2017-06-30
|
30
|
39.28
|
39.53
|
0.64
|
|
[243,]
|
VEA
|
100
|
2017-06-30
|
2017-07-31
|
31
|
39.53
|
40.67
|
2.88
|
|
[244,]
|
VWO
|
100
|
2017-07-31
|
2017-08-31
|
31
|
41.19
|
42.43
|
3
|
|
[245,]
|
VWO
|
100
|
2017-08-31
|
2017-09-29
|
29
|
42.43
|
42.22
|
-0.5
|
|
[246,]
|
VEA
|
100
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
1.77
|
|
[247,]
|
VWO
|
100
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.34
|
|
[248,]
|
VOO
|
100
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
1.28
|
|
[249,]
|
VWO
|
100
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
8.56
|
|
[250,]
|
SHY
|
100
|
2018-01-31
|
2018-02-28
|
28
|
82.18
|
82.1
|
-0.1
|
|
[251,]
|
SHY
|
100
|
2018-02-28
|
2018-03-29
|
29
|
82.1
|
82.3
|
0.25
|
|
[252,]
|
VWO
|
100
|
2018-03-29
|
2018-04-30
|
32
|
45.83
|
44.56
|
-2.77
|
|
[253,]
|
SHY
|
100
|
2018-04-30
|
2018-05-31
|
31
|
82.11
|
82.39
|
0.35
|
|
[254,]
|
IEF
|
100
|
2018-05-31
|
2018-06-29
|
29
|
100.87
|
101.07
|
0.2
|
|
[255,]
|
SHY
|
100
|
2018-06-29
|
2018-07-31
|
32
|
82.43
|
82.38
|
-0.06
|
|
[256,]
|
LQD
|
100
|
2018-07-31
|
2018-08-31
|
31
|
113.62
|
113.64
|
0.02
|
|
[257,]
|
IEF
|
100
|
2018-08-31
|
2018-09-28
|
28
|
101.56
|
100.33
|
-1.21
|
|
[258,]
|
LQD
|
100
|
2018-09-28
|
2018-10-31
|
33
|
113.48
|
111.16
|
-2.05
|
|
[259,]
|
SHY
|
100
|
2018-10-31
|
2018-11-30
|
30
|
82.67
|
82.99
|
0.38
|
|
[260,]
|
VOO
|
100
|
2018-11-30
|
2018-12-31
|
31
|
252.12
|
229.81
|
-8.85
|
|
[261,]
|
IEF
|
100
|
2018-12-31
|
2019-01-04
|
4
|
104.2
|
104.4
|
0.19
|


Now try with just a two asset safe portfolio
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 16 17.9 -9
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
70.5
|
Win.Percent.Day
|
67.2
|
|
Cagr
|
16
|
Avg.Trade
|
1.4
|
Best.Day
|
17.9
|
|
Sharpe
|
1.2
|
Avg.Win
|
2.9
|
Worst.Day
|
-9
|
|
DVR
|
1.1
|
Avg.Loss
|
-2.2
|
Win.Percent.Month
|
67.2
|
|
Volatility
|
13.11
|
Best.Trade
|
17.89
|
Best.Month
|
17.9
|
|
MaxDD
|
-20.14
|
Worst.Trade
|
-9.02
|
Worst.Month
|
-9
|
|
AvgDD
|
-3.58
|
WinLoss.Ratio
|
1.31
|
Win.Percent.Year
|
87.5
|
|
VaR
|
-3.46
|
Avg.Len
|
1
|
Best.Year
|
64.3
|
|
CVaR
|
-6.84
|
Num.Trades
|
261
|
Worst.Year
|
-3.5
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
93.4865900383142
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 0.8" " 4.5" " 8.0" " -5.6"
## 1998 " 1.7" " -0.4" " 5.1" " 1.0" " -1.7" " 1.0" " 0.2" " 3.2"
## 1999 " 4.2" " -3.1" " 0.7" " 15.4" " -4.2" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " -1.0" " -3.0" " 0.3" " 1.3" " 0.9" " 1.6"
## 2001 " 1.3" " -8.7" " 0.5" " -1.2" " 1.6" " 0.5" " 1.4" " 1.1"
## 2002 " 2.9" " 2.7" " 4.5" " 1.6" " -0.4" " -8.2" " 2.4" " 2.5"
## 2003 " -0.8" " 1.4" " -0.4" " 0.1" " 6.2" " 5.9" " 7.0" " 0.0"
## 2004 " 3.1" " 4.2" " 0.4" " -7.9" " 0.0" " 0.0" " 0.3" " 2.8"
## 2005 " -0.1" " 8.9" " -6.8" " 0.5" " 1.1" " 3.5" " 7.0" " 0.7"
## 2006 " 11.6" " -2.1" " 1.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.5"
## 2007 " 0.1" " -2.3" " 2.8" " 3.8" " 3.1" " 0.5" " 0.9" " 0.0"
## 2008 " -9.0" " 1.2" " -3.7" " -2.4" " 1.8" " 0.2" " 0.7" " 1.5"
## 2009 " -3.9" " -0.7" " 3.3" " 17.4" " 17.9" " -2.5" " 10.9" " -0.7"
## 2010 " 0.8" " 0.3" " 8.2" " -0.2" " -8.0" " 3.0" " 0.9" " -2.6"
## 2011 " 0.1" " 3.5" " -2.5" " 3.4" " -2.7" " -1.7" " -2.4" " 4.7"
## 2012 " 0.9" " 5.4" " 3.3" " -0.6" " 2.9" " -0.4" " 1.2" " -0.1"
## 2013 " 0.0" " 0.1" " 3.6" " 1.5" " -3.0" " -0.1" " 0.2" " -0.1"
## 2014 " 0.2" " 0.4" " -0.4" " 0.7" " 2.3" " 3.2" " 1.4" " 3.8"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.0" " -3.2" " 3.1" " 5.1" " 0.8"
## 2017 " 0.1" " 0.0" " 0.1" " 0.2" " 3.4" " 0.6" " 2.9" " 3.0"
## 2018 " 8.6" " -0.1" " 0.2" " -2.8" " 0.4" " 0.2" " -0.1" " 0.3"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.2" " 0.5" " 0.9" " 1.3" " 0.8" " 0.7" " 2.2" " 0.9"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.4" " 0.3" " 1.1" " 6.0" " -8.1"
## 1998 " 3.6" " -0.8" " 6.1" " 5.8" " 27.4" " -1.7"
## 1999 " 0.8" " 3.7" " 2.0" " 14.3" " 37.9" " -4.2"
## 2000 " -5.3" " 0.9" " 2.2" " 2.4" " 0.6" " -5.3"
## 2001 " 2.4" " 2.2" " -2.3" " 7.8" " 6.1" " -9.3"
## 2002 " 3.9" " -1.3" " 6.2" " -2.6" " 14.0" " -8.6"
## 2003 " 1.0" " 9.1" " 1.1" " 7.8" " 44.8" " -0.8"
## 2004 " 5.6" " 2.3" " 10.2" " 5.3" " 28.4" " -7.9"
## 2005 " 8.2" " -0.1" " 0.4" " 6.5" " 32.6" " -6.8"
## 2006 " 0.2" " 3.3" " 7.3" " 4.0" " 32.6" " -2.1"
## 2007 " 9.8" " 13.0" " -8.5" " 0.8" " 24.8" " -8.5"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " -3.0" "-13.4"
## 2009 " 3.9" " -2.4" " 7.2" " 3.1" " 64.3" " -4.6"
## 2010 " 0.0" " 3.1" " -2.8" " 6.9" " 9.0" " -8.2"
## 2011 " 2.2" " -1.3" " -0.3" " 2.0" " 4.7" " -6.6"
## 2012 " -0.3" " -0.6" " 2.7" " 4.2" " 19.9" " -1.0"
## 2013 " 0.2" " 3.2" " 3.0" " -0.2" " 8.6" " -3.1"
## 2014 " -7.2" " 0.3" " 2.8" " 0.1" " 7.4" " -7.2"
## 2015 " 1.6" " -0.6" " -0.4" " -0.5" " 1.6" " -2.8"
## 2016 " 2.0" " 0.3" " -0.5" " 0.1" " 11.1" " -3.2"
## 2017 " -0.5" " 1.8" " -0.3" " 1.3" " 13.3" " -0.5"
## 2018 " -1.2" " 0.2" " 0.4" " -8.8" " -3.5" "-11.2"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.4" " 1.5" " 1.6" " 2.9" " 16.2" " -5.2"
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[238,]
|
SHY
|
100
|
2017-01-31
|
2017-02-28
|
28
|
82.29
|
82.32
|
0.04
|
|
[239,]
|
VOO
|
100
|
2017-02-28
|
2017-03-31
|
31
|
208.93
|
209.21
|
0.13
|
|
[240,]
|
SHY
|
100
|
2017-03-31
|
2017-04-28
|
28
|
82.37
|
82.52
|
0.19
|
|
[241,]
|
VEA
|
100
|
2017-04-28
|
2017-05-31
|
33
|
37.99
|
39.28
|
3.41
|
|
[242,]
|
VEA
|
100
|
2017-05-31
|
2017-06-30
|
30
|
39.28
|
39.53
|
0.64
|
|
[243,]
|
VEA
|
100
|
2017-06-30
|
2017-07-31
|
31
|
39.53
|
40.67
|
2.88
|
|
[244,]
|
VWO
|
100
|
2017-07-31
|
2017-08-31
|
31
|
41.19
|
42.43
|
3
|
|
[245,]
|
VWO
|
100
|
2017-08-31
|
2017-09-29
|
29
|
42.43
|
42.22
|
-0.5
|
|
[246,]
|
VEA
|
100
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
1.77
|
|
[247,]
|
VWO
|
100
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.34
|
|
[248,]
|
VOO
|
100
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
1.28
|
|
[249,]
|
VWO
|
100
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
8.56
|
|
[250,]
|
SHY
|
100
|
2018-01-31
|
2018-02-28
|
28
|
82.18
|
82.1
|
-0.1
|
|
[251,]
|
SHY
|
100
|
2018-02-28
|
2018-03-29
|
29
|
82.1
|
82.3
|
0.25
|
|
[252,]
|
VWO
|
100
|
2018-03-29
|
2018-04-30
|
32
|
45.83
|
44.56
|
-2.77
|
|
[253,]
|
SHY
|
100
|
2018-04-30
|
2018-05-31
|
31
|
82.11
|
82.39
|
0.35
|
|
[254,]
|
IEF
|
100
|
2018-05-31
|
2018-06-29
|
29
|
100.87
|
101.07
|
0.2
|
|
[255,]
|
SHY
|
100
|
2018-06-29
|
2018-07-31
|
32
|
82.43
|
82.38
|
-0.06
|
|
[256,]
|
SHY
|
100
|
2018-07-31
|
2018-08-31
|
31
|
82.38
|
82.67
|
0.35
|
|
[257,]
|
IEF
|
100
|
2018-08-31
|
2018-09-28
|
28
|
101.56
|
100.33
|
-1.21
|
|
[258,]
|
SHY
|
100
|
2018-09-28
|
2018-10-31
|
33
|
82.55
|
82.67
|
0.15
|
|
[259,]
|
SHY
|
100
|
2018-10-31
|
2018-11-30
|
30
|
82.67
|
82.99
|
0.38
|
|
[260,]
|
VOO
|
100
|
2018-11-30
|
2018-12-31
|
31
|
252.12
|
229.81
|
-8.85
|
|
[261,]
|
IEF
|
100
|
2018-12-31
|
2019-01-04
|
4
|
104.2
|
104.4
|
0.19
|

…and using T3 like in the paper
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 0 0 100
##
## Performance summary :
## CAGR Best Worst
## 12.5 12.2 -9.8
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
70.4
|
Win.Percent.Day
|
67.2
|
|
Cagr
|
12.47
|
Avg.Trade
|
0.5
|
Best.Day
|
12.2
|
|
Sharpe
|
1.28
|
Avg.Win
|
1.2
|
Worst.Day
|
-9.8
|
|
DVR
|
1.16
|
Avg.Loss
|
-1
|
Win.Percent.Month
|
67.2
|
|
Volatility
|
9.56
|
Best.Trade
|
5.96
|
Best.Month
|
12.2
|
|
MaxDD
|
-12.64
|
Worst.Trade
|
-5.03
|
Worst.Month
|
-9.8
|
|
AvgDD
|
-2.95
|
WinLoss.Ratio
|
1.18
|
Win.Percent.Year
|
87.5
|
|
VaR
|
-3.57
|
Avg.Len
|
1
|
Best.Year
|
49.2
|
|
CVaR
|
-4.89
|
Num.Trades
|
533
|
Worst.Year
|
-2.8
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
90.0383141762452
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 0.8" " 4.6" " 3.7" " -9.8"
## 1998 " 1.7" " -0.4" " 4.0" " 0.7" " -5.3" " 1.0" " 0.2" " 3.2"
## 1999 " 1.5" " -3.1" " 0.7" " 8.1" " -3.8" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 0.8" " 1.3" " -5.3" " 0.3" " 1.3" " -2.9" " 1.6"
## 2001 " 1.3" " -5.6" " 0.5" " -1.2" " -0.4" " -1.4" " 1.4" " 1.1"
## 2002 " -1.1" " 0.5" " 2.9" " 1.6" " 0.5" " -4.1" " 2.4" " 2.5"
## 2003 " -0.8" " -1.4" " -0.4" " 0.1" " 5.9" " 3.3" " 4.0" " 0.0"
## 2004 " 2.2" " 2.7" " -0.2" " -4.2" " 0.0" " 0.0" " 0.3" " 2.8"
## 2005 " -1.4" " 4.3" " -3.8" " 0.5" " 1.3" " 1.4" " 3.2" " 0.7"
## 2006 " 7.0" " -0.9" " 1.9" " 0.2" " 0.2" " 0.2" " 0.7" " 2.2"
## 2007 " 0.8" " -1.4" " 2.4" " 4.0" " 4.4" " 0.5" " 0.9" " 0.5"
## 2008 " -4.6" " 1.2" " -1.0" " -2.4" " 1.4" " 0.2" " 0.7" " 1.5"
## 2009 " -3.9" " -0.7" " 3.3" " 9.2" " 12.2" " -1.4" " 9.7" " 2.5"
## 2010 " 0.8" " 1.8" " 6.8" " -0.5" " -5.3" " 3.0" " 0.9" " -3.6"
## 2011 " 0.1" " 2.3" " 1.0" " 4.2" " -2.3" " -1.3" " -1.7" " 4.7"
## 2012 " 0.9" " 4.9" " 0.3" " -1.7" " 2.9" " -0.4" " 0.9" " -0.1"
## 2013 " 0.0" " 0.1" " 1.2" " 1.5" " -1.9" " -0.1" " 0.2" " -0.1"
## 2014 " 0.2" " 0.4" " 1.7" " 1.1" " 2.4" " 2.1" " -0.8" " 3.0"
## 2015 " 4.3" " -2.5" " 0.2" " -0.6" " 0.0" " 0.0" " 0.0" " 0.1"
## 2016 " 0.7" " 1.5" " -0.1" " 1.2" " -0.6" " 3.1" " 3.1" " 0.4"
## 2017 " 0.1" " 0.0" " 2.0" " 0.2" " 1.9" " 0.7" " 3.4" " 1.1"
## 2018 " 6.3" " -0.1" " 0.2" " -0.8" " 0.4" " 0.2" " -0.1" " 0.3"
## 2019 " 0.2" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 0.7" " 0.2" " 1.1" " 0.7" " 0.7" " 0.6" " 1.3" " 0.6"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -3.7" " 0.3" " 1.1" " -2.8" "-12.4"
## 1998 " 3.6" " -0.8" " 5.9" " 2.0" " 16.6" " -5.3"
## 1999 " 0.8" " 2.6" " 4.7" " 9.9" " 23.2" " -3.8"
## 2000 " -3.6" " 0.9" " 2.2" " 2.4" " -1.6" " -8.4"
## 2001 " 2.4" " 2.2" " -2.3" " 2.7" " 0.4" " -7.9"
## 2002 " 3.9" " -1.3" " 4.1" " -2.2" " 10.0" " -4.1"
## 2003 " 1.0" " 7.1" " 1.4" " 6.9" " 30.0" " -2.5"
## 2004 " 2.9" " 2.1" " 7.1" " 4.4" " 21.5" " -4.4"
## 2005 " 4.0" " -0.1" " 0.4" " 3.9" " 15.0" " -3.8"
## 2006 " 1.3" " 4.1" " 4.3" " 2.8" " 26.5" " -0.9"
## 2007 " 5.1" " 6.3" " -5.5" " -1.0" " 17.7" " -6.4"
## 2008 " -0.1" " 1.1" " 1.1" " 5.2" " 4.2" " -6.7"
## 2009 " 5.9" " -2.4" " 5.8" " 2.0" " 49.2" " -4.6"
## 2010 " 7.0" " 3.6" " -2.6" " 7.6" " 20.4" " -5.8"
## 2011 " 2.2" " -1.3" " -1.4" " 2.0" " 8.6" " -5.2"
## 2012 " -0.3" " -0.5" " 1.3" " 4.1" " 12.7" " -1.7"
## 2013 " 0.2" " 4.0" " 0.9" " -0.2" " 5.8" " -2.0"
## 2014 " -3.0" " 0.3" " 0.8" " 0.1" " 8.4" " -3.0"
## 2015 " 1.6" " -0.6" " -0.4" " -0.5" " 1.6" " -2.8"
## 2016 " 1.2" " -1.3" " -0.5" " 0.1" " 9.2" " -1.8"
## 2017 " 1.4" " 2.2" " 1.2" " 2.2" " 17.7" " 0.0"
## 2018 " -1.2" " 0.2" " 0.4" " -3.4" " 2.1" " -4.1"
## 2019 " NA" " NA" " NA" " NA" " 0.2" " 0.0"
## Avg " 1.6" " 1.1" " 1.3" " 2.3" " 12.4" " -4.1"


Try adding TLT back in lets use the T2 B1
## Warning in prices1[trade] <- iif(is.na(execution.price[trade]),
## prices1[trade], : number of items to replace is not a multiple of
## replacement length
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-04 0 0 0 0 0 100 0 0
##
## Performance summary :
## CAGR Best Worst
## 14.7 15.5 -13.1
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1996 - Jan2019
|
Win.Percent
|
69.5
|
Win.Percent.Day
|
66.1
|
|
Cagr
|
14.71
|
Avg.Trade
|
0.9
|
Best.Day
|
15.5
|
|
Sharpe
|
1.2
|
Avg.Win
|
2
|
Worst.Day
|
-13.1
|
|
DVR
|
1.07
|
Avg.Loss
|
-1.6
|
Win.Percent.Month
|
66.1
|
|
Volatility
|
12.06
|
Best.Trade
|
13.65
|
Best.Month
|
15.5
|
|
MaxDD
|
-13.71
|
Worst.Trade
|
-13.07
|
Worst.Month
|
-13.1
|
|
AvgDD
|
-4.06
|
WinLoss.Ratio
|
1.24
|
Win.Percent.Year
|
91.7
|
|
VaR
|
-3.99
|
Avg.Len
|
1
|
Best.Year
|
39.7
|
|
CVaR
|
-6.07
|
Num.Trades
|
374
|
Worst.Year
|
-0.9
|
|
Exposure
|
95.26
|
|
|
|
|
|
Roll.TwelveM
|
95.7854406130268
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1996 " NA" " NA" " NA" " NA" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.0" " 0.0" " 0.0" " 0.0" " 1.0" " 4.9" " 4.8" " -7.1"
## 1998 " 1.9" " -0.7" " 4.2" " 0.8" " -1.6" " 2.4" " -0.5" " 4.8"
## 1999 " 1.8" " -4.8" " 0.7" " 9.6" " -4.6" " 0.2" " 0.1" " 0.1"
## 2000 " -0.2" " 3.0" " 3.1" " -4.2" " -0.4" " 1.3" " -1.8" " 2.1"
## 2001 " 0.3" " 1.3" " -0.6" " -1.2" " -1.0" " 0.3" " 1.4" " 2.0"
## 2002 " 0.7" " 0.7" " -2.3" " 1.6" " 0.4" " 1.7" " 2.7" " 2.5"
## 2003 " -0.6" " 3.1" " -1.4" " 0.1" " 5.7" " 4.3" " 5.1" " 0.0"
## 2004 " 2.4" " 3.3" " 0.4" " -5.5" " 0.0" " 0.0" " 0.3" " 4.2"
## 2005 " -0.9" " 6.8" " -4.9" " 3.9" " 3.1" " 1.8" " 3.0" " 0.7"
## 2006 " 9.2" " -1.4" " 2.2" " 0.2" " 0.2" " 0.2" " 0.7" " 2.1"
## 2007 " 0.5" " -1.1" " 1.4" " 3.9" " 4.9" " 0.5" " 0.9" " 1.8"
## 2008 " 2.1" " 1.2" " 1.3" " -2.4" " 1.5" " 0.2" " -0.4" " 1.5"
## 2009 "-13.1" " -0.7" " 3.3" " -2.7" " 15.5" " -2.1" " 10.7" " 1.9"
## 2010 " 0.8" " 0.3" " 7.1" " 0.7" " -8.6" " 5.8" " -0.9" " -3.1"
## 2011 " 0.1" " 3.6" " -1.2" " 3.2" " -2.8" " -1.3" " -2.2" " 9.7"
## 2012 " -0.3" " 4.9" " 0.4" " -1.5" " 9.0" " -1.7" " 0.7" " -1.3"
## 2013 " 0.0" " 0.1" " 2.4" " 1.5" " -0.3" " -0.1" " 0.2" " -0.1"
## 2014 " 0.2" " 0.5" " 0.3" " 0.8" " 2.0" " 2.6" " 0.0" " 3.9"
## 2015 " 9.8" " -6.1" " 0.2" " -3.4" " 0.0" " 0.0" " 0.0" " -0.7"
## 2016 " 5.6" " 3.1" " -0.1" " 0.7" " -1.8" " 6.9" " 2.1" " 0.5"
## 2017 " 0.1" " 0.0" " 1.5" " 0.2" " 2.2" " 0.7" " 4.1" " 1.5"
## 2018 " 7.1" " -0.1" " 0.2" " -2.1" " 0.4" " 0.6" " -1.4" " 0.3"
## 2019 " 0.5" " NA" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 1.2" " 0.8" " 0.8" " 0.2" " 1.1" " 1.3" " 1.3" " 1.2"
## Sep Oct Nov Dec Year MaxDD
## 1996 " 0.0" " 0.0" " 0.0" " 0.0" " 0.0" " 0.0"
## 1997 " 0.8" " -6.2" " 1.3" " 1.7" " 0.4" "-12.2"
## 1998 " 3.3" " -1.7" " 5.7" " 1.4" " 21.3" " -1.7"
## 1999 " 0.8" " 0.3" " 3.0" " 11.9" " 19.5" " -4.8"
## 2000 " -2.3" " 0.9" " 3.0" " 2.5" " 6.8" " -5.3"
## 2001 " 0.9" " 2.2" " -5.1" " -0.3" " 0.2" " -5.3"
## 2002 " 4.3" " -3.7" " -2.1" " -4.4" " 1.6" " -9.9"
## 2003 " 1.0" " 7.8" " 1.6" " 7.8" " 39.7" " -1.4"
## 2004 " 2.9" " 2.8" " 8.7" " 4.9" " 26.3" " -5.5"
## 2005 " 6.5" " -0.1" " 0.4" " 5.8" " 28.6" " -4.9"
## 2006 " 0.7" " 4.2" " 5.5" " 3.6" " 30.3" " -1.4"
## 2007 " 7.3" " 8.7" " -6.1" " -0.6" " 23.3" " -6.7"
## 2008 " 1.5" " -1.9" " 1.1" " 13.7" " 20.4" " -2.4"
## 2009 " 3.8" " -2.6" " 5.6" " 2.5" " 21.1" "-13.7"
## 2010 " -2.5" " 3.6" " -3.9" " 7.2" " 5.4" " -9.9"
## 2011 " 13.2" " -3.8" " -1.0" " 3.4" " 21.1" " -6.3"
## 2012 " -2.5" " -1.3" " 2.0" " 5.7" " 14.2" " -5.9"
## 2013 " 0.2" " 3.8" " 1.8" " -0.2" " 9.7" " -0.4"
## 2014 " -4.3" " 2.8" " 3.0" " 3.3" " 15.9" " -4.3"
## 2015 " 1.6" " -0.4" " -0.9" " -0.5" " -0.9" " -9.8"
## 2016 " 1.0" " -1.0" " -0.5" " 0.1" " 17.4" " -1.8"
## 2017 " 1.0" " 2.1" " 1.4" " 1.5" " 17.5" " 0.0"
## 2018 " -2.9" " 0.2" " 0.4" " 2.8" " 5.3" " -5.0"
## 2019 " NA" " NA" " NA" " NA" " 0.5" " 0.0"
## Avg " 1.6" " 0.7" " 1.1" " 3.2" " 14.4" " -4.9"

